Concentration under Heavy Tails


Ravi Kannan, Microsoft Research, India


 Thursday, October 8 , 2009
11:00 AM,
5126 Upson Hall



Concentration results for the TSP, MWST and many other problems with random inputs show the answer is concentrated tightly around the mean. But most results assume uniform density of the input. We will generalize these to heavy-tailed inputs which seem to be ubiquitous in modern applications.

To accomplish this, we prove two new general probability inequalities. The simpler first inequality weakens both hypotheses in Hoffding-Azuma inequality and is enough to tackle TSP, MWST and Random Projections. The second inequality further weakens the moment requirements and using it, we prove the best possible concentration for the long-studied bin packing problem as well as some others. Many other applications seem possible.